An integrated precision matrix estimation for multivariate regression problems

DOI10.1016/j.jspi.2022.07.002OpenAlexW4285678448WikidataQ114154260 ScholiaQ114154260MaRDI QIDQ2676914

Yuehan Yang, Siwei Xia

Publication date: 28 September 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2022.07.002

zbMATH Keywords

high-dimensional datamultivariate regressionGaussian graphical modeltwo-step methodcovariance selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• A sparse conditional Gaussian graphical model for analysis of genetical genomics data
• Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
• Nonnegative-Lasso and application in index tracking
• High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
• Least squares after model selection in high-dimensional sparse models
• Nonnegative elastic net and application in index tracking
• A penalized regression model for the joint estimation of eQTL associations and gene network structure
• Support union recovery in high-dimensional multivariate regression
• Joint High‐Dimensional Bayesian Variable and Covariance Selection with an Application to eQTL Analysis
• Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO
• Model selection and estimation in the Gaussian graphical model
• Sparse Portfolios for High-Dimensional Financial Index Tracking
• Sparse Estimation of Conditional Graphical Models With Application to Gene Networks
• Vast Portfolio Selection With Gross-Exposure Constraints
• Graph-Based Regularization for Regression Problems with Alignment and Highly Correlated Designs
• Partial Correlation Estimation by Joint Sparse Regression Models
• Covariate-adjusted precision matrix estimation with an application in genetical genomics
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation

This page was built for publication: An integrated precision matrix estimation for multivariate regression problems